RUT High Loss Threshold Strangle Articles

This page lists most of the high loss threshold RUT Strangle backtesting posts from this blog. This series looked at taking bigger losses relative to profits, in order to secure a higher win rate for these trades. The loss levels ranged from 100% to 300% of the credit received, while the profit levels ranged from 25% to 75% of the credit received.

2 comments:

I’ve just been voraciously reading for the past couple days. You may very well have this somewhere but I haven’t bumped into it so I wanted to ask about runs you may have done exiting based on delta.

It seems most of your back tests show duress exits based a multiple of the original profit (i.e. take in $100 exit when position is down $200) yet you put positions on based on delta (6 or 8 or 12 etc).

Do you have similar tests where you use delta as your trigger for exiting (i.e. exit when delta raises to 45)? Do you have similar tests where you use delta as your trigger for exiting (i.e. exit when delta raises to 45) as opposed to a drawdown based on a percentage of cash taken in?

Also wondering if you have back test runs on shorter durations such as weeklies?

You are correct, I have published results of trades where the structure is based on the deltas of the short strikes. For example, an 8 delta strangle is constructed with a put at -8 delta, and a call at +8 delta. I have chosen to only publish results for P&L based exits of these trades, not delta exits, although I have privately tested adjustments and exits based on delta.

My personal trading style is to trade in the 50 to 80 DTE range, so my testing has centered around these DTEs. Short duration trades using weeklies don't fit with my personality and work schedule, so I've not looked at these.

Quantocracy

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